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The global financial crisis and its impact on the Chilean banking system

Author: Jorge A Chan-Lau; International Monetary Fund. Western Hemisphere Department,
Publisher: [Washington, D.C.] : International Monetary Fund, 2010.
Series: IMF working paper, WP/10/108.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"This paper explores how the global turmoil affected the risk of banks operating in Chile, and provides evidence that could help strengthen work on vulnerability indicators and off-site supervision. The analysis is based on the study of default risk codependence, or CoRisk, between Chilean banks and global financial institutions. The results suggest that the impact of the global financial crisis was limited,  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Chan-Lau, Jorge A.
Global financial crisis and its impact on the Chilean banking system.
[Washington, D.C.] : International Monetary Fund, 2010
(OCoLC)646518450
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jorge A Chan-Lau; International Monetary Fund. Western Hemisphere Department,
ISBN: 9781452772240 145277224X 1282845942 9781282845947
OCLC Number: 611629074
Description: 1 online resource (21 pages) : illustrations.
Contents: Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. A First Glimpse on the Potential Exposure to Foreign Banks; 1. Foreign banks' claims on selected emerging market countries; 2. Foreign banks' claims on Chile, by bank nationality; 1. Chile: Foreign bank claims, in percent of total; III. Assessing the Impact of the Crisis using Market Information; A. Expected Default Frequency (EDF) Measures; 3. EDFs and equivalent Moody's credit ratings; B. Data; 4. Financial institutions included in the analysis; 2. 5-year EDFs, in percent. C. Empirical Method: Corisk estimation using Quantile Regressions3. Aggregate risk factor; IV. Results; 5. Corisk between domestic and foreign institutions, measured as EDF (in percent); 6. Corisk between domestic and foreign institutions, measured as Moody's credit ratings; 7. Corisk between domestic institutions, measured as EDF (in percent) and implied Moody's credit ratings; V. Conclusions; References; Footnotes.
Series Title: IMF working paper, WP/10/108.
Responsibility: prepared by Jorge A. Chan-Lau.

Abstract:

"This paper explores how the global turmoil affected the risk of banks operating in Chile, and provides evidence that could help strengthen work on vulnerability indicators and off-site supervision. The analysis is based on the study of default risk codependence, or CoRisk, between Chilean banks and global financial institutions. The results suggest that the impact of the global financial crisis was limited, inducing at most a one-rating downgrade to banks operating in Chile. The paper concludes by assessing government measures aimed at reducing systemic risk in the domestic banking sector and the recommendations to allocate SWF assets to domestic banks."

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